- Date
- Friday 22 May 2020, 09:00 - 17:00
- Type
- Workshop
- Spoken Language
- English
- Room
- CB-03
- Building
- Theil Building
Modelling and predicting dependencies in financial time series is an important part of financial econometrics. In recent decades, technological advancements have made high-frequency trading strategies possible and the availability of high-frequency financial data has grown exponentially.
This has resulted in high demand for statistical and econometric methods that allow for the analysis of high-frequency data and their incorporation into econometric models with the aim of improving prediction accuracy and making better investment decisions.
The workshop on Friday 22 May, which precedes the Tinbergen Institute Econometrics Lectures 2020 on 25-26 May, will address recent developments in financial econometrics with an emphasis on modelling of high-frequency and high-dimensional financial time series. The aim is to facilitate dialogue between researchers using econometric methods for analysing financial data.
About Yacine Aït-Sahalia
The keynote speech will be given by Yacine Aït-Sahalia, the Otto A. Hack Professor of Finance and Economics at Princeton University and founding director of the Bendheim Center for Finance at Princeton. His main research area is the estimation of continuous-time models in financial economics. He is particularly interested in estimating and testing models using high-frequency data with a focus on understanding the role and importance of jumps.
Registration
Register for this workshop by clicking the 'Registration' button above.
Organisors
- More information
Secretarial office, eb-secr@ese.eur.nl